Shared Enlightenment, Inc. : CopulaMax NetCreditOps I

archived programs
Year-to-Date
N / A
Apr Performance
11.79%
Min Investment
$ 25k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
29.95%
Sharpe (RFR=1%)
1.35
CAROR
44.09%
Assets
$ 246k
Worst DD
-18.08
S&P Correlation
0.22

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
CopulaMax NetCreditOps I 11.79 23.04 - 32.45 - - - 134.51
S&P 500 0.62 5.69 - 17.93 - - - 43.55
+/- S&P 500 11.17 17.35 - 14.52 - - - 90.96

Strategy Description

Summary

The CopulaMax NetCreditOps I, II, III program series implements primarily options writing strategies and sophisticated trade & risk management methodologies. This program series is traded in a very selective, opportunistic manner, with maximal exploitation of options time decay and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
40000 RT/YR/$M
Avg. Margin-to-Equity
32%
Targeted Worst DD
12.00%
Worst Peak-to-Trough
-18.08%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
2.00%
1-3 Months
21.00%
1-30 Days
73.00%
Intraday
4.00%

Decision-Making

Discretionary
80.00%
Systematic
20.00%

Strategy

Fundamental
10.00%
Option-spreads
75.00%
Seasonal/cyclical
10.00%
Technical
5.00%
Strategy Pie Chart

Composition

Energy
26.00%
Currency Futures
22.00%
Grains
16.00%
Softs
12.00%
Interest Rates
9.00%
Precious Metals
8.00%
Stock Indices
3.00%
Industrial Metals
2.00%
Livestock
2.00%
Composition Pie Chart

Summary

The CopulaMax NetCreditOps I, II, III program series implements primarily options writing strategies and sophisticated trade & risk management methodologies. This program series is traded in a very selective, opportunistic manner, with maximal exploitation of options time decay and positions typically held from a few hours to several months. Gains are correlated with the ability to anticipate favorable directional development of price and volatility. The strategies emphasize selection of deep OTM options strikes, technical as well as fundamental factors and in-house, global research. The CTA strives to comply with a "no naked short options legs held overnight" policy. The number of long options traded outnumbers the number of short options traded but up to a factor of 2:1. The program involves almost exclusive trading of options but occasionally outright futures may be traded, most often due to assignment and/or exercise at or near options expiration days

Risk Management

Management of the unique class of risks associated with options writing is key to long-term success of any CTA offering an options-writing focused program. A key component of the CopulaMax NetCreditOps I, II, III program series trade and risk management methodology is selection of deep out-of-the-money (deep OTM) options strikes with consideration of a variety of technical factors including identification and continual analysis of multiple support and resistance levels on charts and developments in other related markets as well as fundamental factors including supply and demand variables in global markets. Most positions in the CopulaMaxSM NetCreditOpsSM I, II, III program series are entered initially under a "leave no naked legs uncovered" or "no naked short selling" rule but a minority of positions may under approved conditions feature some holding of naked short options positions, such as in the case of intercommodity options spreads. Written options held naked represent theoretical unlimited risk; in practise, risk of loss much larger than the maximum potential gain in the event of a sustained extreme market move. When legging into a vertical credit spread by writing an OTM option, Advisor will rarely complete the trading session without also purchasing one or more deeper OTM options to cover or hedge the short option position, thereby completing the vertical credit spread and limiting the maximum potential loss of the spread position. Advisor often writes vertical credit spreads in ratios of short-to-long legs of 1:N, where N is greater than 1, in other words, the number of long legs exceeds the number of short legs. For the CopulaMax NetCreditOps I level program, the typical ratios are 1:1 or 1:2. For example, when writing vertical bear call credit spread, Advisor may write one OTM call and buy two deeper OTM calls, thereby providing stronger mitigation of risk of large loss in the event of a sustained extreme market move.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-18.08 1 3 12/1/2013 1/1/2014
-11.09 1 1 4/1/2013 5/1/2013
-9.78 3 1 6/1/2013 9/1/2013
-9.08 2 2 3/1/2012 5/1/2012
-0.17 1 1 1/1/0001 1/1/2012
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
91.28 11 6/1/2012 4/1/2013
31.13 3 10/1/2013 12/1/2013
24.92 1 6/1/2013 6/1/2013
23.04 3 2/1/2014 4/1/2014
1.98 2 2/1/2012 3/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-18.08 1 1/1/2014 1/1/2014
-11.09 1 5/1/2013 5/1/2013
-9.78 3 7/1/2013 9/1/2013
-9.08 2 4/1/2012 5/1/2012
-0.17 1 1/1/2012 1/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable71.4369.2395.65100.00100.00
Average Period Return3.4410.1123.7854.7393.33
Average Gain7.2517.7124.8854.7393.33
Average Loss-6.08-6.97-0.40
Best Period24.9233.8858.0297.44143.89
Worst Period-18.08-10.25-0.4018.1167.16
Standard Deviation8.6414.1218.8022.4025.11
Gain Standard Deviation6.279.4318.4722.4025.11
Loss Standard Deviation6.033.79
Sharpe Ratio (1%)0.390.701.242.403.66
Average Gain / Average Loss1.192.5462.26
Profit / Loss Ratio2.985.711369.83
Downside Deviation (10%)4.604.960.60
Downside Deviation (5%)4.474.460.19
Downside Deviation (0%)4.434.340.08
Sortino Ratio (10%)0.661.7935.26
Sortino Ratio (5%)0.752.21124.30
Sortino Ratio (0%)0.782.33285.42

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 1 11.79 4/2014
Diversified Trader Index Month 2 11.79 4/2014
Discretionary Trader Index Month 3 11.79 4/2014
Option Strategy Index Month 7 3.54 3/2014
Discretionary Trader Index Month 10 3.54 3/2014
Discretionary Trader Index Month 6 6.30 2/2014
Option Strategy Index Month 2 6.30 2/2014
Option Strategy Index Month 9 3.06 12/2013
Diversified Trader Index Month 8 9.49 11/2013
Discretionary Trader Index Month 2 9.49 11/2013
Option Strategy Index Month 1 9.49 11/2013
Option Strategy Index Month 1 16.21 10/2013
Discretionary Trader Index Month 2 16.21 10/2013
Diversified Trader Index Month 3 16.21 10/2013
Discretionary Trader Index Month 2 24.92 6/2013
Option Strategy Index Month 1 24.92 6/2013
Diversified Trader Index Month 1 24.92 6/2013
Option Strategy Index Month 2 2.92 4/2013
Option Strategy Index Month 1 7.51 2/2013
Diversified Trader Index Month 6 7.51 2/2013
Discretionary Trader Index Month 5 7.51 2/2013
Discretionary Trader Index Month 4 8.68 1/2013
Option Strategy Index Month 2 8.68 1/2013
Discretionary Trader Index Month 7 4.26 11/2012
Option Strategy Index Month 5 4.26 11/2012
Diversified Trader Index Month 3 15.96 10/2012
Discretionary Trader Index Month 1 15.96 10/2012
Option Strategy Index Month 1 15.96 10/2012
Option Strategy Index Month 2 10.00 9/2012
Discretionary Trader Index Month 2 10.00 9/2012
Diversified Trader Index Month 3 10.00 9/2012
Diversified Trader Index Month 7 4.96 8/2012
Option Strategy Index Month 7 4.96 8/2012
Option Strategy Index Month 2 5.21 7/2012
Option Strategy Index Month 1 7.60 6/2012
Diversified Trader Index Month 7 7.60 6/2012

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.